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| 一般化自己回帰条件付き分散 (GARCH)× | 季節ARIMA (SARIMA)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1986 | 2015 |
| 提唱者≠ | Tim Bollerslev | Box & Jenkins (seasonal extension of ARIMA) |
| 種類≠ | Conditional volatility model | Seasonal time-series model |
| 原典≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ | Box, G.E.P., Jenkins, G.M., Reinsel, G.C. & Ljung, G.M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 |
| 別名≠ | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli | seasonal ARIMA, Box-Jenkins seasonal model, SARIMA — Mevsimsel ARIMA |
| 関連 | 5 | 5 |
| 概要≠ | GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns. | SARIMA is a seasonal extension of the Box-Jenkins ARIMA model that adds seasonal differencing and seasonal autoregressive and moving-average terms. Developed within the Box, Jenkins, Reinsel and Ljung framework (5th edition, 2015), it forecasts series whose pattern repeats on a yearly, monthly, or weekly period. |
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